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dc.contributor.authorVu Anh Tuan, Eric
dc.date.accessioned2014-07-21T08:26:55Z
dc.date.available2014-07-21T08:26:55Z
dc.date.issued2013-01
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13748
dc.language.isoenen
dc.subjectLedoit and Wolf Shrinkage Estimatoren
dc.subjectReal Estate Portfolioen
dc.subjectReal estate investmenten
dc.subjectAsset allocationen
dc.subjectPortfolio managementen
dc.subjectPortefeuille immobilieren
dc.subjectInvestissements immobiliersen
dc.subjectAllocation d'actifsen
dc.subjectGestion de portefeuilleen
dc.subject.ddc332en
dc.subject.classificationjelC13en
dc.subject.classificationjelC51en
dc.subject.classificationjelG11en
dc.subject.classificationjelR31en
dc.titleHow Does the Ledoit and Wolf Shrinkage Estimator Improve a Real Estate Portfolio?en
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenPortfolio theories are meant to provide a method for managing assets and constructing portfolios. Meanwhile, the mean-variance technique has been heavily criticized by some academics, and its application to real estate portfolio is questionable (Cheng and Liang, 2000). Indeed, the mean-variance analysis is quite sensitive to estimation errors, and traditional real estate databases can represent a huge pitfall to portfolio construction. Therefore, we look for a method to lessen the effect of inputs upon the optimization process; the shrinkage estimator appears to show some advantages in modeling real estate portfolios. This study employs the shrinkage estimator scheme of Ledoit and Wolf (2004) to examine the effect of a corner solution on the allocations. This process limits the impact of estimation errors on the optimization process, resulting in a distinctive investment strategy.en
dc.relation.isversionofjnlnameThe Journal of Real Estate Portfolio Management
dc.relation.isversionofjnlvol19en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2013-01
dc.relation.isversionofjnlpages89-101en
dc.relation.isversionofjnlpublisherAmerican Real Estate Societyen
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen


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